Main Field of Study and progress level:
Economics: Second cycle, has second-cycle course/s as entry requirements
Grading scale: Pass with distinction, Pass, Fail
Responsible department: Department of Economics
Revised by: Rector of Umeå School of Business and Economics, 2016-10-03
Contents
The course covers the fundamental methods and concepts in econometrics, with a focus on: linear regression model, extensions to limited dependent variables (LDVs), notions of causality and endogeneity in econometrics and its simplest implementations in the Instrumental Variables (IV) and Difference-in-Difference frameworks. The role of basic assumptions for estimation, model specification and statistical inference are studied in the context of these models. The estimation frameworks emphasized are Least Squares (LS), including Generalized Least Squares (GLS), and Maximum Likelihood (ML). Fundamental tools of estimation and inference are developed in these frameworks, and applied to specific models. For many frameworks, including the linear LS case, the consequences for estimation and statistical inference of frequently appearing deviations from the standard assumptions are also considered. Some of the introduced concepts and frameworks will be illustrated with simple applications using stata software. The course will conclude with a brief introduction to specific methods for panel data or for dealing with endogeneity.
Expected learning outcomes
After completing the course, students will be able to: - Demonstrate an understanding of the fundamental concepts in econometrics, including: notions of causality and endogeneity, understanding estimation frameworks as well of testing between competing hypotheses; - Demonstrate an understanding of the concepts, and use, of different goodness of fit measures along with their drawbacks; - Evaluate and summarize an empirical study conducted by another person/researcher; and - Be able to perform regressions and data analysis, including but not limited to: linear LS, ML-based probit/logit and Poisson models, and IV models; and to be able to understand and interpret the results and to test a variety of simple hypotheses.
Required Knowledge
90 ECTS of undergraduate courses in economics, whereof 30 ECTS on C-level (G2F). Proficiency in English equivalent to the Swedish upper secondary course English B/6. Mathematical Economics I D7 or the equivalent.
